When two random variables are bivariate normally distributed Stein's original lemma allows to conveniently express the covariance of the first variable with a function of the second. Landsman & Neslehova (2007) extend this seminal result to the family of multivariate elliptical distributions. In...

When two variables are bivariate normally distributed, Stein's (1973, 1981) seminal lemma provides a convenient expression for the covariance of the first variable with a function of the second. The lemma has proven to be useful in various disciplines, including statistics, probability, decision...